Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
22,592 documents
This post proposes screening equities for daily amplitude above 1%, observations dated in 2021, and a price-change condition below 6%. It describes high amplitude as a sign of larger price swings and treats a modest historical gain as a possible entry…
This post describes an equity screen combining daily turnover between 3% and 12%, seven consecutive declining sessions, market capitalization below 10 billion yuan, and no losses in the preceding three years. It presents the screen as a way to pair recent…
This Chinese-language post outlines a screen for mainland Chinese equities in the metaverse theme. It selects stocks reported on the previous day’s trading list and requires the 30-day moving average to be rising versus its prior value. The post also…
This Chinese equity screen combines a daily amplitude threshold, circulating market value above 10 billion yuan, and a technical condition described as the start of a major upward move. Its reference formula checks whether the prior midpoint was below an…
This Chinese equity screen combines a technical filter with size and liquidity conditions. It selects stocks with RSI below 65, circulating market value between 5 billion and 10 billion yuan, and prior-day trading value above 60 million yuan. The article…
This note describes a Chinese equity screen using an intraday range above 1%, current volume above 10,000 lots, a higher open, and a 2019 dividend ratio above 25%. It frames the rules as a combination of market activity, liquidity, opening sentiment, and…
This post outlines a daily long-short strategy for the S&P 500 using a two-period RSI. It opens a long position when RSI falls below a parameter and a short position when RSI exceeds a mirrored threshold. Long exits require RSI to recover to a separate…
This note proposes a short-term Chinese equity screen combining price movement, activity, and fundamental filters. It selects stocks with an intraday range above 1%, at least one daily gain of 10% or more during the prior 25 trading days, and prior-day…
This note describes a Chinese equity screen that selects stocks with an intraday range above 1% and a stated 2019 dividend ratio above 25%, then orders them by individual-stock heat. It presents range as a measure of price activity, the dividend condition as…
The article discusses Chinese stocks that close at the daily limit and then open sharply lower. It offers two possible explanations: short selling followed by repurchasing at a lower price, and conventional large traders either distributing shares near a…
The post outlines a Chinese equities screen combining three conditions: rank stocks by capital strength, select the top five by the day’s auction amount, and require the 15-minute MACD histogram’s negative bars to be shrinking. It interprets these filters as…
This document outlines a machine learning workflow built around feature engineering, model training, and model combination. Feature engineering includes creating, extracting, and selecting variables. It contrasts linear models, which capture linear…
The document presents price resiliency (RES), a covariance-based measure intended to capture both the price impact of liquidity shocks and how long those shocks persist. It compares returns in the first half-hour of trading with returns over the rest of the…
This document proposes an equity screen requiring daily price amplitude above a threshold, turnover within a specified band, and a nonempty name for an outstanding convertible bond. Its indicator reference expresses the range and turnover filters, then…
This brief project note reports a modification to an existing quantitative strategy: market capitalization was added to the scoring process and return on equity was removed. The author says the backtest improved after the change, but provides no performance…
This document describes a short-term stock screen combining a minimum price range, an “arc-shaped” price pattern, and a recent two-session high. Its formula reference also checks that recent minute-level volume is rising across progressively longer windows,…
The document proposes screening A-shares by turnover between stated bounds, a positive but limited return over ten days, and a positive daily MACD. It frames turnover and recent price appreciation as signs of trading activity and favorable price behavior,…
The document describes an A-share screen requiring price amplitude above a threshold, more than a year since listing, and a K-line reading below 20. It interprets the low K reading as potentially oversold and therefore possibly due for a rebound. The…
This document describes a Chinese equity screening rule combining price movement and trading activity. It selects stocks whose amplitude exceeds a stated threshold, whose prior-day turnover multiplied by the ratio of current auction volume to prior-day…
This stock selection method combines a daily amplitude threshold with a weekly moving average crossover and a filter excluding stocks that hit the upper price limit the previous day. The document presents the crossover as a technical strength signal and the…
This Chinese equities screen combines a turnover rate between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%, and a weekly MACD condition above zero. It presents the combination as…
This Chinese stock screen selects securities with an amplitude above 1, ranks them by the day’s auction amount, keeps the top five, and requires market capitalization above 200 million. The author interprets amplitude and auction turnover as signs of…
This Chinese-equity screening idea combines three conditions: a large price amplitude, a prior-day 9:15 matching price at the limit-down level, and membership in the metaverse concept category. The article frames the volatility and opening-price conditions…
This stock screen combines a positive MACD reading with a company-category filter and a history of high return on equity. The article describes the intended idea as finding companies with favorable fundamentals and technical trends. Its stated ROE threshold…